Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Research Seminar - Milos Kopa

08. März 2024

We are pleased to announce the upcoming Research Seminar on March 8, 2024.

The Institute for Statistics and Mathematics is pleased to invite you to this semester’s first research seminar, taking place on campus:

Milos Kopa (Department of Probability and Mathematical Statistics, Charles University, Prague)
Stochastic Dominance in Portfolio Optimization
Friday, March 8, 2024, 10:30 am, Building D4, Room D4.0.127

Abstract:
Stochastic dominance is a statistical tool developed for comparing the random variables among each other. In financial applications, these random variables usually represent random returns of the considered assets or portfolios. The paper focuses on portfolio selection problems with stochastic dominance constraints for various orders of stochastic dominance relations. Firstly, the tractable necessary and sufficient conditions for particular probability distributions are discussed.
Secondly, these conditions are employed in the static and dynamic portfolio selection problems. Finally, the extensions for the case of vector comparisons are presented. The theoretical results are accompanied by empirical examples.


We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar

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